Rating Announcements, CDS Spread and Volatility During the European Sovereign Crisis

被引：4
|
作者：
Raimbourg, Philippe [1 ]
Salvade, Federica [2 ]
机构：
[1] Univ Paris 1 Pantheon Sorbonne, Ecole Management Sorbonne, Paris, France
[2] PSB Paris Sch Business, Paris, France
来源：
FINANCE RESEARCH LETTERS | 2021年 / 40卷
关键词：
Sovereign rating announcements; Credit default swap; Volatility; Financial crisis; CREDIT DEFAULT SWAP; IMPACT; MARKETS; RETURN; SPILL;
D O I：
10.1016/j.frl.2020.101663
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper analyzes the evolution of CDS spread and CDS volatility around European sovereign rating announcements over the period 2008-13. We show that the effect of the announcement differs depending on the credit quality of the issuer (Investment Grade versus Speculative). The downgrading and negative credit watch of an investment grade country stabilize the market, as volatility decreases right after their release. By contrast, the announcements regarding speculative grade countries trigger an increase in both CDS spread and volatility. Lastly, we show that these announcements not only affect the CDS of the country, but spill over the German CDS.
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页数：7
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